When Jim walks through the door, he possesses an unreadable expression that utterly terrifies his tremulous wife.
It was not anger, nor surprise, nor disapproval, nor horror, nor any of the sentiments that she had been prepared for. He simply stared as her fixedly with that peculiar expression on his face.
Della quickly explains that she cut and sold her hair because she wanted so badly to buy him something nice for Christmas. She also assures him that her how grows very fast and that she's bought him a really lovely gift with the money she got for her hair.
"You've cut off your hair?" asked Jim, laboriously, as if he had not arrived at that patent fact yet even after the hardest mental labor [....]. Jim looked around the room curiously. "You say your hair is gone?" he said, with an air almost of idiocy.
Jim's initial, and somewhat lengthy, response seems to be disbelief. After all, the narrator tells us that he's neither mad, nor shocked, nor disapproving, nor horrified. He speaks "laboriously" and slowly, as though he has some deficiency of understanding, almost like an "idiot." In other words, he seems, simply, to be unable to believe the supreme irony of what has happened. After all, he knows before Della does that they each have done the same thing—sold their most valuable possessions to buy something nice for the other—and he initial disbelieving response does fade quickly.